So the investment has half the volatility of sp500.
Also beta is 0.15
It also has a 35 year track record.
Overall, is this an attractive return?
The roi seems low to me, but the risk seems very low, so it's risk adjusted returns seems good, just wanted another opinion.
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Only my humble opinion :
Max drawdown/ROI of 1 is good.
Beta seems limited so would be ok for most fund, or u could easily tweak a bit the strategy if needed to be better hedged. A rolling beta would be interesting, to see of u are always hedged or if u take long/short bets that overall on the long period compensate each other.
But Sharpe seems low, half S&P vol is around 12% I guess, so Sharpe under 1 is not good.
Other important metric is the longest drawdown/time to recovery. If it is more than 1Y it can be hard to survive.
Is it realized pnl or backtest? If it is a backtest u have to aim for better metrics, at least 50% better.
Btw returns in % and/or risk in % is not the most important. Leverage will be used to match the required risk. (If your strat has 5% vol and the fund targets 10% vol, use a leverage of 2).
Sharpe is 0.9
Longest underwater period is 1 year and 7 months
According to my models, standard deviation is 7.28% whereas S&P 500 is 14.61%.
All these figures are based on monthly data points.
Do you have any further opinions?
Monthly data improves your Sharpe. Try yearly and your Sharpe will increase. Try weekly or daily and it will decrease. (This is due to the vol not being linear)
This is why the standard is to use daily data for the Sharpe so u can compare it across strategies
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